Alphanomics: The Informational Underpinnings of Market Efficiency

@inproceedings{Lee2015AlphanomicsTI,
  title={Alphanomics: The Informational Underpinnings of Market Efficiency},
  author={Charles M. C. Lee and Eric C. So},
  year={2015}
}
This monograph is a compact introduction to empirical research on market efficiency, behavioral finance, and fundamental analysis. The first section reviews the evolution of academic thinking on market efficiency. Section 2 introduces the noise trader model as an alternative framework for market-related research. Section 3 surveys the growing literature on the causes and consequences of investor sentiment. Section 4 examines the role of fundamental analysis in value investing. Section 5… Expand

Figures from this paper

Is There a Dark Side to Exchange Traded Funds? An Information Perspective
We examine whether an increase in ETF ownership is accompanied by a decline in pricing efficiency for the underlying component securities. Our tests show an increase in ETF ownership is associatedExpand
The Informational Feedback Effect of Stock Prices on Management Forecasts
Using management earnings forecasts over the period 1996–2010, I find that the sensitivity of forecast revisions to contemporaneous stock returns is increasing in the amount of investors’ privateExpand
Q-Factors and Investment CAPM-Oxford Research Encyclopedia of Economics and Finance
The Hou–Xue–Zhang q-factor model says that the expected return of an asset in excess of the risk-free rate is described by its sensitivities to the market factor, a size factor, an in­ vestmentExpand
Technological links and predictable returns
Employing a classic measure of technological closeness between firms, we show that the returns of technology-linked firms have strong predictive power for focal firm returns. A long-short strategyExpand
Technological Links and Predictable Returns
Employing a classic measure of technological closeness between firms, we show that the returns of technology-linked firms have strong predictive power for focal firm returns. A long-short strategyExpand
Off-Exchange Trading and Post Earnings Announcement Drift
Both theory and evidence are mixed regarding the impact on prices of trading on “dark” venues partially exempt from National Market System requirements. Theory predicts that price discovery improvesExpand
Is There a Dark Side to Exchange Traded Funds (ETFs)? An Information Perspective
In a noisy rational expectations framework with costly information, some agents expend resources to become informed, and earn a return for their efforts by trading with the uninformed. Applying thisExpand
Shall We Talk? The Role of Interactive Investor Platforms in Corporate Communication
Between 2010 and 2017, Chinese investors used an online platform to ask publicly-listed firms over 2.5 million questions, the vast majority of which received a reply from management within two weeks.Expand
Fundamental strength strategy: The role of investor sentiment versus limits to arbitrage
Abstract This paper evaluates the return predictability of fundamental strength in a two-dimensional framework that considers both investor sentiment and limits to arbitrage simultaneously. SentimentExpand
The Use of Accounting Screens for Separating Winners From Losers Among the S&p 500 Stocks
This study uses accounting screens based on the Piotroski’s (2000) F-score and the derived MagicP formulae and finds that it is an effective investment strategy, which results in risk-adjustedExpand
...
1
2
3
4
5
...

References

SHOWING 1-10 OF 464 REFERENCES
Presidential Address: Sophisticated Investors and Market Efficiency
Stock-market trading is increasingly dominated by sophisticated professionals, as opposed to individual investors. Will this trend ultimately lead to greater market efficiency? I consider twoExpand
Initial public offerings: International insights
Abstract This paper discusses evidence on the short-run and long-run performance of companies going public in many countries. Differences in average initial returns are analyzed in terms of bindingExpand
Overconfidence, Arbitrage, and Equilibrium Asset Pricing
This paper offers a model in which asset prices reflect both covariance risk and misperceptions of firms' prospects, and in which arbitrageurs trade against mispricing. In equilibrium, expectedExpand
Market Segmentation and Cross-Predictability of Returns
We present evidence supporting the hypothesis that due to investor specialization and market segmentation, value-relevant information diffuses gradually in financial markets. Using the stock marketExpand
The Price is (Almost) Right
Most previous research tests market efficiency and asset pricing models using average abnormal trading profits on dynamic trading strategies, and typically rejects the joint hypothesis. In contrast,Expand
Investor attention , overconfidence and category learning
Motivated by psychological evidence that attention is a scarce cognitive resource, we model investors’ attention allocation in learning and study the effects of this on asset-price dynamics. We showExpand
Accounting valuation, market expectation, and cross-sectional stock returns
Abstract This study examines the usefulness of an analyst-based valuation model in predicting cross-sectional stock returns. We estimate firms' fundamental values (V) using I/B/E/S consensusExpand
Returns to contrarian investment strategies: Tests of naive expectations hypotheses
Abstract This paper examines the ability of naive investor expectations models to explain the higher returns to contrarian investment strategies. Contrary to Lakonishok, Shleifer, and Vishny (1994),Expand
Limited Investor Attention and Stock Market Misreactions to Accounting Information
We provide a model in which a single psychological constraint, limited investor attention, explains both under- and over-reaction to different earnings components. Investor neglect of information inExpand
Financial Intermediaries and the Cross-Section of Asset Returns
type="main"> Financial intermediaries trade frequently in many markets using sophisticated models. Their marginal value of wealth should therefore provide a more informative stochastic discountExpand
...
1
2
3
4
5
...